Global Derivatives

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Welcome to Global Derivatives

Welcome to Global Derivatives.

New Report on the Current State of Algorithmic Trading

Originally published by Waters magazine, the report includes several interesting articles on all things algorithmic trading-related, as well as some interviews with industry leaders.

Articles include:

  • ITG releases closing auction liquidity algo
  • National Bank Financial activates Orc for Canadian algo trading
  • Perseus goes public with Euro microwave network

Interviewees include:

  • Scott Sellers, CEO & Co-Founder, Azul Systems
  • Andrew Banhidi, MD and CTO, Bank of America Merrill Lynch
  • Aduris Siow, Director, Electronic Trading Sales & Consulting, ITG
  • Louis Lovas, Director of Solutions, OneMarketData

Download a copy of the report here.

Masters Program News (Archive)

 

Two new programs have recently been announced. The first being University of Illinois at Urbana-Champaign's new MSc Financial Engineering program:

 

The Department of Finance in the College of Business, and the Department of Industrial and Enterprise Systems Engineering in the College of Engineering at the University of Illinois at Urbana-Champaign are pleased to announce the launch of the Master of Science in Financial Engineering (MSFE) degree program. The first entering class will be admitted for Fall 2010. More information can be found at http://msfe.illinois.edu

 

The second is Universitat Konstanz's new MSc Mathematical Finance based in Constance, Germany:

 

The interdisciplinary Master’s programme, only offered at the University of Konstanz, is a joint initiative of the Department of Mathematics and Statistics and the Department of Economics.


Our objective is to qualify students for challenging careers, particularly in the financial sector, e.g. in banks, insurance companies, consulting firms and in the finance departments of industrial concerns. The programme will also suit students who are aspiring for an academic career at a university or a research institute. More information can be found at http://cms.uni-konstanz.de/en/math/mathfinmsc/

 

Update of Rankings

 

After assessing the feasibility of compiling an updated rankings on quantitative finance Masters programs, we regret to inform our readers that we will not be updating our rankings until further notice. This is in part due to a lack of resources to conduct a more widespread survey and partially because we feel that any attempts made to provide reasonable and unbiased rankings will be very difficult for this field. We thank the community for the ongoing support of the site as we consider other alternative tools which will help in the decision making process for potential Masters program candidates.

 

Derivatives Pricing Software News


One of our partners, MG Soft has put together a free exotic options calculator which prices a variety of options under Monte Carlo - including the Greeks. The calculator allows arbitrary monitoring dates and it is pretty fast. To download the calculator, please click this link

 

Masters Program News


Cornell Financial Engineering program has expanded by establishing Cornell Financial Engineering Manhattan. CFEM is an academic center that serves as a bridge between the FE program in Ithaca and Wall Street community. Starting with the currently enrolled class, Master-level students will spend the third semester of the program at CFEM. Student teams will be based in New York to work on the industry-sponsored Financial Engineering project as well as to complete their course work and participate in the career development programs specifically designed for Wall Street careers. For more information, click on the following link

 

New Working Paper


A recent paper published on GARP by Igor Postelnik takes a look at chess in the context of risk management. Drawing from chess strategy, psychological response and game theory, the paper is an interesting read for practitioners and chess players alike. The paper can be downloaded here.

 

Masters Program News


We thought is was worthwhile pointing out that UCLA has a new Masters in Financial Engineering program starting in Fall of this year. Notable faculty includes Francis Longstaff, Robert Geske, Eduardo Schwartz, Richard Roll. For more info on the program, click here.

 

Working Papers


Andreas Andrikoupos revisits the pricing of American Options by expanding on the quadratic approximation ala Barone-Adesi & Whaley (1987). Under the boundary-optimality approach, the paper improves on the classic approximation with an additional parameter. The paper can be downloaded here.

 

Forums

Just a small heads up that the forums are still up and running here! With some nice new features and better stability than our previous forums, this will hopefully give readers of the site a better experience. So do feel free to post your comments, questions, rants and whatever else is in your mind in the forums. The same login for the main site can also be used for the forums.

 

Spreadsheets Policy

With the number of visitors to our site steadily rising, our bandwidth usage and webhosting costs have also risen. Because of this, we have made an adjustment to our spreadsheet policy which we hope most of you will understand.

We will still offer free unprotected spreadsheets for anyone who requests them, up to a maximum of three. However, beyond that, we regret that we now have to charge a small premium to cover the costs of running the website. You can find more details on our spreadsheets policy page.

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Option of the Day


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